Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0063
Annualized Std Dev 0.4286
Annualized Sharpe (Rf=0%) -0.0148

Row

Daily Return Statistics

Close
Observations 3732.0000
NAs 1.0000
Minimum -0.2282
Quartile 1 -0.0140
Median 0.0000
Arithmetic Mean 0.0003
Geometric Mean 0.0000
Quartile 3 0.0144
Maximum 0.2654
SE Mean 0.0004
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0012
Variance 0.0007
Stdev 0.0270
Skewness 0.2290
Kurtosis 7.2938

Downside Risk

Close
Semi Deviation 0.0188
Gain Deviation 0.0196
Loss Deviation 0.0183
Downside Deviation (MAR=210%) 0.0233
Downside Deviation (Rf=0%) 0.0186
Downside Deviation (0%) 0.0186
Maximum Drawdown 0.8128
Historical VaR (95%) -0.0399
Historical ES (95%) -0.0592
Modified VaR (95%) -0.0383
Modified ES (95%) -0.0468
From Trough To Depth Length To Trough Recovery
2011-09-09 2016-01-19 NA -0.8128 2398 1096 NA
2008-03-17 2008-10-27 2010-09-28 -0.7099 640 157 483
2006-09-06 2006-10-03 2007-02-26 -0.2052 118 20 98
2007-07-20 2007-08-16 2007-09-18 -0.1996 42 20 22
2011-04-11 2011-06-16 2011-09-02 -0.1903 102 47 55

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA -0.8 1.9 2.6 0.7 -0.9 0.2 -1 -0.6 2
2007 0.6 -1.9 0.3 -0.7 2.3 0.7 -1.2 3.1 1 -3.5 -1.4 -1.7 -2.4
2008 -2.4 -2.3 -2.7 -2.2 1.7 1.9 -2.5 -0.7 -0.1 -3.5 -15.3 2.7 -23.6
2009 -0.5 -0.4 4.7 0.4 -1.7 4.2 4.2 -1.8 -4.9 -3.3 5 0.7 6.2
2010 5.5 1.7 4.5 0.4 -0.1 -4.5 1.1 -1.4 1.2 -0.1 1.3 1 10.6
2011 2.8 1.6 -0.5 1.5 -1.9 -1.6 0.8 0.9 0.3 -0.5 -0.2 0.4 3.7
2012 0.2 0.9 1 0.1 6.4 3.4 -1.4 4.2 0.4 -1.7 -1 3.2 16.5
2013 1.4 -0.8 -1.1 -2.3 -1.9 1.6 -3 -1.4 -2.4 -4.1 2.2 2.4 -9.3
2014 0 -0.3 0.4 -1.3 1.2 -0.8 1.1 0.9 0.2 -5.4 7.4 -0.4 2.4
2015 3.2 1.5 5.3 0.8 -0.5 -2.7 2.2 -3.1 -2.4 -1.1 2.9 0.4 6.5
2016 3.1 -4.2 0.8 6.4 0.6 4.8 1.1 3.6 -1 2.5 -0.8 -3.8 13.3
2017 -0.3 0.6 1.2 -2.4 -0.4 0.6 -0.1 0.2 -0.9 0 0.1 0.2 -1.4
2018 -0.2 1 1.5 0.1 -0.1 1.7 -0.8 -0.7 0.2 3.4 -0.4 2.4 8.2
2019 -0.5 -2.4 -2.1 -1.8 3.9 -3.8 5.1 0.7 0.8 -0.5 1.6 -0.7 -0.1
2020 0.9 -6.9 4.3 3.2 3.1 -0.3 3.1 -1.4 1 1.5 3.7 -1.5 10.7
2021 3.4 -0.7 0.8 NA NA NA NA NA NA NA NA NA 3.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-05-22  37.2 SPY    126. -0.0076  -0.026   -0.0383  -0.0184   0.0588    0.361  0.00120 GLD    65.3 -0.0043 -0.0313 
2 2006-05-23  38.0 SPY    125. -0.0076  -0.032   -0.0438  -0.0317   0.045     0.338 -0.0293  GLD    66.4  0.0165 -0.0325 
3 2006-05-24  36.5 SPY    126.  0.008   -0.0054  -0.0322  -0.0225   0.0558    0.346 -0.0231  GLD    64.1 -0.035  -0.06   
4 2006-05-25  38.3 SPY    128.  0.0124   0.012   -0.0205  -0.013    0.0697    0.339 -0.0155  GLD    64.7  0.01   -0.0409 
5 2006-05-26  38.6 SPY    128.  0.0051   0.0101  -0.0202  -0.0083   0.0694    0.342 -0.0248  GLD    65.1  0.0062 -0.0073 
6 2006-05-30  38.2 SPY    126. -0.0178  -0.0002  -0.0408  -0.0166   0.0486    0.322 -0.0409  GLD    65.1  0.0002 -0.00290
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart